That is so weird, no covers are in my pictures. Maybe there's some kind of setup making you do that. When you hook up your Reader and the library starts up, select the Reader to see all of your books and it should show all of the files. The icons for pictures is different, see if they show up, and if they do, just delete them off the Reader. They will take up space, but I don't see it being a problem until you start running out of room. That is weird though, I've never heard of that.

while loading books from p2p they are most likely in other formats and in archives like zip or rar and the cover is as a normal jpg picture inside after unzipped/unrared.
if you load them on your device, the unit put the pics in the "pic" folder and the text in a "book" file.
if you use calibre, the pic is not converted, because it is not embedded in the text.

that the only thing how i can explain that.
(i am sure, that the op is not a p2p person!)